Liquidity of the CBOE Equity Options
研究了芝加哥期权交易所（CBOE）期权市场的深度和买卖价差，发现大额期权交易对价格影响很小，说明市场深度很好；但期权与股票的买卖价差几乎相等，作者用市场机制差异解释了这一现象，并指出期权价差中逆向选择成分很小。
We examine the CBOE option market depth and bid-ask spreads. Absence of price effects surrounding large option trades suggests excellent market depth. However, bid-ask spreads for the CBOE options and the NYSE stocks are nearly equal, even though an average option is equivalent to less than half a stock plus borrowing. We explain this tradeoff between market depth and bid-ask spreads on the CBOE and the NYSE by differences in market mechanisms. We also show that the adverse-selection component of the option spread, which measures the extent of information-related trading on the CBOE, is very small.